Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170035077 | ||
| 003 | MAP | ||
| 005 | 20171122122211.0 | ||
| 008 | 171031e20170904esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20170014492$aKolkiewicz, Adam W. | ||
| 245 | 1 | 0 | $aPricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes$cAdam W. Kolkiewicz, Fangyuan Sally Lin |
| 520 | $aThis article presents a numerical method of pricing the surrender risk in Ratchet equity-index annuities (EIAs). We assume that log-returns of the underlying fund belong to a class of regime-switching models where the parameters are allowed to change randomly according to a hidden Markov chain. The defining feature of these models is the fact that in each regime the characteristic function of log-returns is assumed to have an analytical form. The presented method provides an unified pricing framework within this class and includes the recently developed COS method as a particular case. This aspect of the method is particularly useful when pricing Ratchet options embedded in EIAs, for which the COS method exhibits a low rate of convergence. Our numerical results confirm that for models considered in this article the proposed approach improves convergence of the COS method without increasing the computational burden. | ||
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 700 | 1 | $0MAPA20170014782$aSally Lin, Fangyuan | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g04/09/2017 Tomo 21 Número 3 - 2017 , p. 433-457 |